Gaps in merged futures contract (HE)

[marcoheimann]

Hi all,

Can anyone help me with this please?

I chart the HE 10-12 futures and see huge gaps (cf. picture). I have set instrument settings to "use global settings" and my global settings are "merge back adjusted". I use a Kinetick EOD connection and IB intraday.

I haven't seen such huge gaps in other contracts I charted so far?

Thanks,

Marco

[NinjaTrader_Jason]

Hello Marco,

I experience the same data on my end. This is because no offset is available for the HE expiries.

Can you please go to Control Center-->Tools-->Instrument Manager, highlight the HE and click Edit. Select the Misc-tab. Click the 'Contract months' row and click the '...' button that appears. Select the 10-12 expiry and set Offset to -14. Set the Offset for the 08-12 expiry to -5 and so on.

Remove and re-add the HE 10-12 to your instrument list now that it uses different settings. Instructions can be found at the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/instrument_lists.htm

Create a new HE 10-12 chart and check if data is loaded as expected.

[marcoheimann]

Hi Jason,

Thanks for the reply, ths solution work well for me. Evne thought it's a bit idle to calculate the offset values by hand.

Do you know for which futures the offset values are not defined. I would like to avoid runnig backtests on those contracts without defining the offstes.

Thanks

Marco

[NinjaTrader_Kyle]

Hello Marco,

Unfortunately, I do not have a list of instruments where no offset value is defined. I'd recommend double-checking the offset for an instrument prior to backtesting.

[marcoheimann]

Thanks for you answer Kyle. Of course I will check manually in this case.

[Statik]

Gaps in CL Daily Contract

Please, help me to solve my issue. Much appreciated.

[NinjaTrader_PatrickH]

Hello Statik,

Thank you for your post and welcome to the NinjaTrader Support Forum!

The Continuous Contract data cannot be changed, it is "as is" from the data feed provider. The Merge Policy will effect the current contract to treat it as a Continuous Contract. Please try using the latest expiry month for your futures instruments and advise if you still see these gaps.

[Statik]

Gaps

PatrickH, Thank you for you reply. I did what you said and I see less gaps now. But some gaps are still there.

[NinjaTrader_PatrickH]

Hello Statik,

Thank you for your response.

It is possible to still see gaps due to the Open and Close times used for the Daily data from the provider. Unfortunately, this cannot be changed.

[Harry]

You have probably blended data from two different data providers. The part of the chart that shows no gaps is professional grade data that shows the full trading day, possibly from Kinetick. You have then added data from a different source. That daily data looks like regular session data.

What I would suggest is to open a daily chart with a lookback period of 2 years or more. Then connect to Kinetick EOD and right-click the chart to reload all historical data.

In a second step you need to check all rollover dates for CL and the associated offsets. I think that one of your offsets may not be correct. However, this can only be done after reloading all data.